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Research topic155 readings

Liquidity and costs

Liquidity and costs within execution-and-market-microstructure.

FieldExecution and market microstructure317 readings
The registry

Entries in this field

17 entries

A

Aggressive execution

C

Commission analysis

F

Futures rollover management

I

Implementation shortfall

L

Liquidity filterLiquidity-seeking execution

M

Market impact model

O

OHLC bar construction

P

Participation rate executionPassive execution

T

TWAP executionTape speedTime-weighted average priceTrade information controlTrade-at-price analysisTransaction-cost and slippage simulation

V

VWAP execution
The archive155 readings

Readings on this topic

2018Evaluating futures liquidity for executable contract choiceLiquidity filter2018Screen listed futures by liquidity, open interest, and marginLiquidity filter2018Contract selection is the first filter on competing bitcoin futuresFutures contract selection2018Using open interest and volume to rank futures liquidityLiquidity filter2018Executable futures selection from a 2018 liquidity boardLiquidity filter2018Evaluate futures liquidity before contract selectionLiquidity filter2018Open-interest liquidity filter for futures contract selectionLiquidity filter2018Filter futures execution by liquidity and marginLiquidity filter2018Construct a futures liquidity filter from open interest and rangeLiquidity filter2018Ranking futures by liquidity, open interest, and equal-dollar costLiquidity filter2018Futures liquidity and open interest as an execution filterLiquidity filter2018Commission analysis for brokerage execution costsCommission analysis